Look at the LastReply property. Here's the description from the online reference documentation:

Contains the last control-channel
reply. For example: "550 Failed to
change directory." or "250 Directory
successfully changed." The control
channel reply is typically formatted
as an integer status code followed by
a one-line description.

PS> Keep a reference to the Ftp2 object instance that makes the async method call. After the async method completes, then you can examine the ftp2.LastReply -- assuming you kept a reference to the object..